Xiva Asset Management Limited : Axiom Intraday Futures

archived programs
Year-to-Date
N / A
Jan Performance
-2.37%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
9.36%
Sharpe (RFR=1%)
-1.70
CAROR
-
Assets
$ 200k
Worst DD
-6.80
S&P Correlation
-0.24

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Jan Qtr YTD 1yr 3yr 5yr 10yr Since
9/2012
Axiom Intraday Futures -2.37 - - - - - - -6.19
S&P 500 5.04 - - - - - - 140.49
+/- S&P 500 -7.41 - - - - - - -146.68

Strategy Description

Summary

AXIOM is an intraday trading strategy for futures based on volatility breakouts. The strategy will take long or short positions when an increase in volatility and trending bias has been detected. A special filter allows the system to capture intraday trends in their infancy and avoids... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 2.00
Management Fee 0%
Performance Fee 30.00%
Average Commission $6.00
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 3600 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 20.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months
4-12 Months 0%
1-3 Months 0%
1-30 Days 0%
Intraday 100.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Stock Indices
60.00%
Energy
30.00%
Interest Rates
10.00%
Composition Pie Chart

Summary

AXIOM is an intraday trading strategy for futures based on volatility breakouts. The strategy will take long or short positions when an increase in volatility and trending bias has been detected. A special filter allows the system to capture intraday trends in their infancy and avoids opening positions when the trend has gone too far. Each open position is protected by a volatility based stop. All positions are closed at the end of the day. AXIOM consists of a fully automated portfolio trading the following futures markets: Crude Oil, Eurex Dax, Eurex Bund, Nat Gas, Mini Russell, Emini S&P Midcap 400, Ibex35. The same system parameters are applied to all markets in order to minimize the risk of over optimization. The trade management is completely automated and executed in our server hosted in a datacenter in New York.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
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Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-6.80 -1 - 1/1/0001 10/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
3.10 2 11/1/2012 12/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.80 2 9/1/2012 10/1/2012
-2.37 1 1/1/2013 1/1/2013
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Time Windows Analysis

 1 Month
Number of Periods5.00
Percent Profitable40.00
Average Period Return-1.24
Average Gain1.55
Average Loss-3.10
Best Period2.51
Worst Period-4.04
Standard Deviation2.70
Gain Standard Deviation1.36
Loss Standard Deviation0.86
Sharpe Ratio (1%)-0.49
Average Gain / Average Loss0.50
Profit / Loss Ratio0.33
Downside Deviation (10%)2.77
Downside Deviation (5%)2.52
Downside Deviation (0%)2.46
Sortino Ratio (10%)-0.60
Sortino Ratio (5%)-0.52
Sortino Ratio (0%)-0.50

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.